Hydrophobic cellulose nanofibers (CNFs) were prepared by surface modification using alkenyl succinic anhydride (ASA). The hydrophobicity of CNFs was varied by changing the degree of substitution (DS) from 0 to 0.83. Modified CNFs were mixed with high-density polyethylene (HDPE) using a twin-screw extruder and the resulting composites were injection molded. The tensile properties initially improved with increasing DS up to ∼0.3–0.5, and then decreased with further substitution. The tensile strength and modulus of 10 wt.% HDPE/CNF composites containing 8.8 wt.% ASA (DS: 0.44) were 43.4 MPa and 1.97 GPa, respectively. These values were both almost 70% higher than those of composites containing unmodified CNF, and 100% and 86% higher, respectively, than those for pure HDPE. X-ray computed tomography measurements showed that CNFs modified with a DS of 0.44 were dispersed uniformly within the resin matrix, whilst unmodified CNFs and those modified with a DS of 0.77 agglomerated within the composites.